Martingale Methods in Financial Modelling / Edition 2

Martingale Methods in Financial Modelling / Edition 2

by Marek Musiela, Marek Rutkowski
     
 

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ISBN-10: 3642058981

ISBN-13: 9783642058981

Pub. Date: 11/19/2010

Publisher: Springer Berlin Heidelberg

A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling

Includes a new chapter devoted to volatility risk

The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of

Overview

A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling

Includes a new chapter devoted to volatility risk

The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models

Product Details

ISBN-13:
9783642058981
Publisher:
Springer Berlin Heidelberg
Publication date:
11/19/2010
Series:
Stochastic Modelling and Applied Probability Series, #36
Edition description:
Softcover reprint of hardcover 2nd ed. 2005
Pages:
638
Product dimensions:
6.10(w) x 9.20(h) x 1.60(d)

Table of Contents

Spot and Futures Markets.- An Introduction to Financial Derivatives.- Discrete-time Security Markets.- Benchmark Models in Continuous Time.- Foreign Market Derivatives.- American Options.- Exotic Options.- Volatility Risk.- Continuous-time Security Markets.- Fixed-income Markets.- Interest Rates and Related Contracts.- Short-Term Rate Models.- Models of Instantaneous Forward Rates.- Market LIBOR Models.- Alternative Market Models.- Cross-currency Derivatives.

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